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Capital and Risk in Commercial Banking : A Comparison of Capital and Risk-based Capital Ratios

Hogan, Thomas L. - 2015

Recent changes in U.S. banking regulation have emphasized risk-based capital (RBC) as an indicator of bank soundness … ratios of bank holding companies from 1999 through 2010 against two measures of bank risk: the standard deviation of stock … returns and the Z-score indicator of bank solvency. We find that the capital and RBC ratios are statistically significant …

Persistent link: https://www.econbiz.de/10013036960

Investigation on the Comparative Persistence and Convergence of Risk and Non-Risk Adjusted Bank Capital Ratios

Rugemintwari, Clovis - 2010

adjustment model. Overall, consistent with the findings from the corporate finance literature, we find that bank capital … policy initiatives that aim to strengthen the bank capital regulation by introducing a minimum leverage ratio and by …

Persistent link: https://www.econbiz.de/10013136801

Important facts on comparative backtesting of Value at Risk

Saissi Hassani, Samir - 2022

VaR remains important in market risk management as Basel keeps most of the backtesting based on 1% VaR. Comparative backtesting as practiced in the current literature suffers from a major double problem. On the one hand, the score functions, although strictly consistent, may assign very good or...

Persistent link: https://www.econbiz.de/10013294397

The ECB and IMF indicators for the macro-prudential analysis of the banking sector: a comparison of the two approaches

Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2008

countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …

Persistent link: https://www.econbiz.de/10011606251

Comparative Analysis of Asian EXIM Banks

Mu, Yibin - 2012

This paper compares funding structure, financial facilities, and evolution of roles and activities of Export-Import Banks (EXIMs) in six Asian economies -- Japan, Korea, Taiwan of China (hereinafter referred as Taiwan), India, Thailand, and China. It examines the similarities and differences...

Persistent link: https://www.econbiz.de/10013098997

The ECB and IMF indicators for the macro-prudential analysis of the banking sector : a comparison of the two approaches

Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2008

countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …

Persistent link: https://www.econbiz.de/10011639817

The ECB and IMF Indicators for the Macro-Prudential Analysis of the Banking Sector : A Comparison of the Two Approaches

Agresti, Anna Maria; Baudino, Patrizia; Poloni, Paolo - 2021

countries. The European Central Bank (ECB), jointly with the Banking Supervision Committee (BSC), has an interest in monitoring …

Persistent link: https://www.econbiz.de/10013316516

The ECB and IMF indicators for the macro-prudential analysis of the banking sector : a comparison of the two approaches

Agresti, Anna-Maria; Baudino, Patrizia; Poloni, Paolo - 2008

Persistent link: https://www.econbiz.de/10013439662

Basel II versus III : A Comparative Assessment of Minimum Capital Requirements for Internal Model Approaches

Kinateder, Harald - 2017

This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework: Basel II, the 2010 version of Basel III and the 2013 version of Basel III. For this purpose, Cantelli's inequality is used to compute theoretical...

Persistent link: https://www.econbiz.de/10012970270

Risk Management and Capital Adequacy in Turkish Participation and Conventional Banks : A Comparative Stress Testing Analysis

Hassan, M. Kabir - 2018

In this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given the...

Persistent link: https://www.econbiz.de/10012909773